Efficient portfolio allocation with sparse volatility estimation for high-frequency financial data.
Jian ZouChuqin HuangPublished in: IEEE BigData (2016)
Keyphrases
- high frequency
- financial data
- low frequency
- stock market
- stock price
- stock trading
- financial crisis
- portfolio management
- financial time series
- high resolution
- subband
- high frequencies
- wavelet coefficients
- wavelet transform
- stock exchange
- stock market data
- discrete wavelet transform
- low pass
- multiresolution
- low bit rate coding
- wavelet domain
- high frequency components
- frequency band
- computational complexity
- similarity measure
- low and high frequency
- image processing